Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0692 |
| Annualized Std Dev | 0.2508 |
| Annualized Sharpe (Rf=0%) | 0.2760 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3733.0000 |
| NAs | 1.0000 |
| Minimum | -0.1410 |
| Quartile 1 | -0.0062 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1559 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.5218 |
| Kurtosis | 12.2618 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6478 |
| Historical VaR (95%) | -0.0227 |
| Historical ES (95%) | -0.0391 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0462 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-24 | 2008-11-20 | 2011-02-16 | -0.6478 | 1193 | 630 | 563 |
| 2018-08-30 | 2020-03-18 | 2020-12-04 | -0.5102 | 571 | 389 | 182 |
| 2011-05-02 | 2011-10-03 | 2012-03-15 | -0.2887 | 221 | 108 | 113 |
| 2015-06-24 | 2016-02-11 | 2016-11-21 | -0.2794 | 358 | 161 | 197 |
| 2012-03-27 | 2012-06-04 | 2013-01-02 | -0.1343 | 193 | 48 | 145 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | -1.6 | -0.3 | 0.4 | -0.1 | 0 | 0.1 | 0.2 | 0.2 | -1 |
| 2007 | 0.5 | -0.4 | 0.1 | -0.2 | 0.4 | -0.2 | 0.3 | 1.3 | 1.3 | -1.5 | 0.5 | -2.4 | -0.4 |
| 2008 | 2.3 | -3.2 | 3 | 1 | -0.1 | 0 | 0 | -1.2 | -1 | 4.7 | -8.9 | 3.5 | -0.6 |
| 2009 | -1.3 | -1.3 | 2 | 1.5 | 3.2 | 1.2 | 0.5 | -1.8 | -3.6 | -2.4 | 1.6 | -0.2 | -0.8 |
| 2010 | 2 | 1.7 | 0.8 | -2.3 | -3.1 | -0.1 | 0.2 | 3.6 | 0.2 | -0.7 | 2.2 | -0.4 | 4 |
| 2011 | 1.5 | -2.2 | 0.3 | 0.4 | -2.2 | 1.9 | -0.9 | -1.8 | -2.2 | -4.2 | 0.2 | -0.1 | -9 |
| 2012 | 1.4 | 0.4 | 0.4 | 1 | -3.6 | 3 | -1.2 | 0.3 | 0.1 | 1.5 | 0 | 2 | 5.2 |
| 2013 | 0.8 | 0.1 | -1.4 | -1.4 | -1.2 | 0.3 | 1.1 | -1.2 | 1 | -0.4 | 0 | 0.4 | -1.9 |
| 2014 | -0.7 | 0.1 | 1.1 | 0.3 | -0.3 | 0.8 | -0.4 | 0.6 | -1.8 | 1.7 | -2.4 | -0.8 | -1.9 |
| 2015 | -1.2 | 0.1 | -0.9 | 0.9 | 0.4 | 0.1 | -0.1 | -2.7 | 0 | 0.2 | 0.7 | -0.3 | -2.8 |
| 2016 | 0.8 | 1.7 | 0 | -0.6 | 0.5 | 0.8 | -0.8 | -0.2 | 1.3 | -1.4 | -1.2 | -0.3 | 0.5 |
| 2017 | -0.3 | 1.8 | 0.6 | 0.5 | 1.7 | 0.8 | -0.3 | 0.3 | 0.3 | -0.1 | 0.3 | -0.1 | 5.5 |
| 2018 | -0.3 | 0.2 | 1.6 | -0.3 | 0.7 | -0.1 | -0.1 | 0.4 | -0.5 | 1.2 | 0.2 | 0.9 | 3.9 |
| 2019 | 0.4 | 0.9 | 1.3 | -1.2 | -1.7 | 0.5 | -2.7 | -0.2 | -1.9 | 1.9 | -0.4 | 0.5 | -2.6 |
| 2020 | -2.2 | -0.3 | -6.4 | -4.7 | 1.7 | -1.3 | -0.7 | 0.5 | 1 | -1.2 | 1.5 | 0.1 | -11.7 |
| 2021 | 1.8 | 2.2 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
